Deadline June

This is a discussion on Deadline June within the Trading Journals forums, part of the Reception category; Originally Posted by meanreversion 2. Looking at the equity curve is important to you, BUT your eye will see what ...

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Old Jan 24, 2011, 12:20pm   #729
 
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Equity curves

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Originally Posted by meanreversion View Post
2. Looking at the equity curve is important to you, BUT your eye will see what it wants to. If you're testing something and are quite keen on it, you'll look at the curve and see how it's always rising. An investor might look at it and see all the dips that your brain skipped over.
I disagree. Do you mean ME personally or anyone & everyone? I believe I can be objective enough to avoid the pitfall you outline there.
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Old Jan 24, 2011, 12:22pm   #730
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Re: Selecting systems

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One of them is in fact net profit / drawdown - I posted some results with that in one of the columns earlier this weekend, I'm sure.
No good.

You need annual return / drawdown.

Net profit will of course change depending on the sample period (which I will assume is not always the same!)
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Old Jan 24, 2011, 12:23pm   #731
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Re: Equity curves

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I disagree. Do you mean ME personally or anyone & everyone? I believe I can be objective enough to avoid the pitfall you outline there.
Sorry, but you're kidding yourself.
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Old Jan 24, 2011, 12:34pm   #732
 
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Money management, drawdown, portfolios

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Originally Posted by meanreversion View Post
3. Higher profit does NOT mean a better system. If system A has a return of 60% a year with a drawdown of 40%, this is WORSE than system B, which returns 20% a year, with a drawdown of 10%. Why? Because all you need to do is trade system B in three times the stake size, and hey presto, it's better than system A. This confirms my belief that you're not completely clear in your own mind on how to compare systems quantitatively.
What confirms your belief about my selection processes? I do relative bet size selection within the basket of instruments I run a system against. I don't do it in backtesting, because I look at the results on an individual instrument basis anyway and I only put together a portfolio analysis after I'm satisfied with all that. That's probably why I don't mention it much on this thread.

That means I don't even have a definitive capital allocation as an input parameter to my backtesting result analysis, so I don't see any percentage numbers like that. Well I do because NinjaTrader is set to show percentages by default. But I just look at the raw dollar return per $100,000 lot backtest run. This means I can directly compare results (and I don't mean just profit!) between systems, despite the fact that I could input a starting capital and show a CAGR.

Does this give you a better idea of what I'm doing?

By the way you never told me what MAR stands for.
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Old Jan 24, 2011, 12:36pm   #733
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Re: Deadline June

Managed Account Report, I think, it's a newsletter for CTAs.

Ok, I'll lay off.. I just feel that you're spinning your wheels a bit, and it's frustrating to me (I have no idea why!!).
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Old Jan 24, 2011, 12:44pm   #734
 
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Post belief

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4. You will not be able to trade a system unless you believe in it, and for you to have belief, you need to have a rationale, or a theory, or something. Simply finding a pattern and assuming it will continue is completely bogus.

DashRiprock has made comments along similar lines. My advice to you now would be

- be clear in your mind precisely how to quantitatively compare systems
- trade your beliefs.. what do you believe about the market and the way it acts, and design a system around this
- please forget this gap system (GBP/AUD gaps - are you serious?)
I do have a belief in the systems I trade but it's not based on a rationale of the kind you want, as I said before. Whether it's bogus or not is something that I do a lot of testing to determine and my hard drive is littered with the well-tested remains of bogus systems.

I'm already doing your first two bullets there - but I'm afraid the decision on the last one will be made based on the stats I produce this week.

PS I should post a link to that conversation we had last year about the forex crosses I trade - then instead of saying anything, we can just post that link.
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Old Jan 24, 2011, 12:45pm   #735
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Re: Deadline June

Does Ninja allow for stake size as percentage of equity?
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